IEF Options History — August 2009

In August 2009, IEF traded between $88.58 and $91.60. ATM implied volatility averaged 10.3%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.2% (HV 20d: 10.5%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2009-08-04: Highest Volume — 1,674 contracts
  • 2009-08-14: Largest IV drop — 10.2% change
  • 2009-08-13: Highest IV Rank — 13.8%
  • 2009-08-12: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.39$88.58$91.60$89.94$91.60
Max Pain$92.43$90.00$93.00$90.00$93.00
ATM IV10.3%8.6%11.8%10.9%8.7%
Expected Move3.0%2.5%3.5%3.1%2.5%
HV 20d10.5%8.0%12.2%12.2%8.0%
HV 60d11.1%9.8%11.6%11.4%9.8%
IV Rank8.8%2.9%13.8%10.9%3.4%
IV Percentile29.9%4.4%51.2%42.5%5.6%
Term Structure0.8%0.2%1.4%0.2%0.9%
VWIV10.2%7.8%12.2%10.8%9.2%
Skew 25d0.9%0.3%1.5%0.9%0.6%
Skew 10d1.9%0.6%4.2%4.2%2.9%
Call IV 25d10.0%7.5%12.0%10.7%8.7%
Put IV 25d10.8%9.0%12.4%11.6%9.3%
Bid-Ask Spread %51.6616.6579.8658.2844.10
Gamma HHI0.200.150.250.160.25
Net GEX-13.2M-19.5M-9.5M-11.1M-18.1M
Net DEX118.0M81.2M166.6M123.3M89.8M
Net VEX-353.5K-406.5K-296.4K-397.9K-296.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0510.590.460.05
Total Volume401.143191,674353445
Total OI61,085.38158,49662,41359,29760,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$89.94$90.0010.9%3.1%12.2%10.9%10.8%0.9%0.2%-11.1M123.3M-397.9K0.4658.2824111217,14742,150
2009-08-04$89.68$90.0010.8%3.1%12.1%10.4%10.5%0.9%1.1%-11.5M133.2M-396.9K1.0122.6683384117,37242,162
2009-08-05$89.17$90.0011.0%3.2%11.3%11.4%10.9%0.3%0.3%-11.5M148.1M-399.0K2.1323.8911223818,15242,974
2009-08-06$89.17$90.0011.7%3.4%11.2%13.7%11.5%1.1%0.4%-11.0M146.6M-384.1K0.5030.921025118,20743,180
2009-08-07$88.58$93.0011.2%3.3%11.0%11.9%12.2%0.8%0.7%-12.4M166.6M-352.9K10.5929.061718018,21443,218
2009-08-10$89.15$93.0011.2%3.3%11.4%11.9%11.7%1.3%0.7%-12.1M151.9M-343.4K0.3622.7414518,22243,327
2009-08-11$89.77$93.0011.6%3.4%11.6%13.2%12.1%0.4%0.6%-10.5M132.9M-399.6K0.7274.54463318,23543,330
2009-08-12$89.52$93.0011.6%3.5%10.7%13.1%12.0%0.4%0.6%-11.6M143.8M-406.5K0.9828.59828018,23743,336
2009-08-13$90.22$93.0011.8%3.4%10.8%13.8%11.8%0.7%0.7%-10.0M118.2M-386.9K0.0870.963552918,28343,373
2009-08-14$90.50$93.0010.6%3.0%10.6%9.7%9.8%1.1%1.0%-10.7M114.1M-363.0K0.2265.7353211518,33443,363
2009-08-17$91.12$93.0011.0%3.1%10.8%11.1%11.0%1.1%0.8%-9.5M92.2M-379.9K0.1179.861872118,72443,445
2009-08-18$90.80$93.0010.2%2.9%10.1%8.6%9.9%0.8%0.6%-10.2M101.4M-351.4K0.8476.7621918418,80643,460
2009-08-19$91.14$93.0010.3%3.0%10.0%8.9%10.1%0.3%1.1%-9.8M88.0M-360.5K0.0816.651821518,85643,557
2009-08-20$91.38$93.009.7%2.8%9.3%6.7%9.4%1.3%1.4%-12.0M81.2M-340.0K0.1060.301971918,72443,543
2009-08-21$90.45$93.009.6%2.7%10.1%6.3%9.3%1.0%1.4%-11.3M116.4M-313.4K0.2466.602034918,77443,544
2009-08-24$91.01$93.009.5%2.7%10.1%6.2%9.2%0.7%0.8%-18.7M113.3M-299.4K2.4072.7530172215,92542,571
2009-08-25$91.25$93.008.9%2.5%10.1%4.0%8.7%1.3%0.9%-19.1M108.8M-311.3K0.0563.971,2706516,19043,169
2009-08-26$91.37$93.008.8%2.5%10.1%3.7%8.3%1.1%1.0%-17.6M98.4M-326.5K0.0562.68129617,43143,228
2009-08-27$91.12$93.008.6%2.5%10.1%2.9%8.9%1.3%0.9%-19.5M108.7M-310.3K1.6873.61477917,47243,234
2009-08-28$91.33$93.008.8%2.5%9.5%3.6%7.8%1.5%0.6%-19.1M101.4M-304.9K0.0640.2962417,43243,248
2009-08-31$91.60$93.008.7%2.5%8.0%3.4%9.2%0.6%0.9%-18.1M89.8M-296.4K0.0544.104252017,39643,248